Interest rate risk modeling: the fixed income valuation course
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, NJ
Wiley
2005
|
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Literaturverz. S. 377 - 382 |
| Beschreibung: | XXVII, 396 S. graph. Darst. 1 CD-ROM (12 cm) |
| ISBN: | 9780471427247 0471427241 |
Internformat
MARC
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| 020 | |a 9780471427247 |9 978-0-471-42724-7 | ||
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| 100 | 1 | |a Nawalkha, Sanjay K. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Interest rate risk modeling |b the fixed income valuation course |c Sanjay K. Nawalkha ; Gloria M. Soto ; Natalia A. Beliaeva |
| 264 | 1 | |a Hoboken, NJ |b Wiley |c 2005 | |
| 300 | |a XXVII, 396 S. |b graph. Darst. |e 1 CD-ROM (12 cm) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Wiley finance series | |
| 500 | |a Literaturverz. S. 377 - 382 | ||
| 650 | 7 | |a Rente |2 gtt | |
| 650 | 7 | |a Risk management |2 gtt | |
| 650 | 7 | |a Wiskundige modellen |2 gtt | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Bonds |x Valuation |x Mathematical models | |
| 650 | 4 | |a Fixed-income securities |x Valuation |x Mathematical models | |
| 650 | 4 | |a Interest rate risk |x Mathematical models | |
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| 700 | 1 | |a Soto, Gloria M. |e Verfasser |4 aut | |
| 700 | 1 | |a Beliaeva, Natalia A. |e Verfasser |4 aut | |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014604145&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
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Datensatz im Suchindex
| _version_ | 1804135070562254848 |
|---|---|
| adam_text | Contents
List of Figures
xxi
List of Tables
xxv
CHAPTER
1
Interest Rate Risk Modeling: An Overview
1
Duration and Convexity Models
5
M-Absolute and M-Square Models
7
Duration Vector Models
8
Key Rate Duration Models
9
Principal Component Duration Models
10
Applications to Financial Institutions
12
Interaction with Other Risks
14
Notes
15
CHAPTER
Z
Bond Price, Duration, and Convexity
16
Bond Price under Continuous Compounding
16
Duration
20
Convexity
25
Common Fallacies Concerning Duration and Convexity
27
Simple Counter Examples
28
Explanation of the Fallacies
29
Applications to Callable Bonds
31
A New Graph
32
Formulas for Duration and Convexity
36
Duration and Convexity Formulas for Regular Bonds
37
Duration and Convexity Formulas for Annuities
and Perpetuities
38
XV
XVI
CONTENTS
Appendix 2.1:
Other Fallacies Concerning Duration
and Convexity
41
Notes
42
CHAPTER
3
Estimation of the Term Structure of Interest Rates
44
Bond Prices, Spot Rates, and Forward Rates
45
The Discount Function
45
Accrued Interest
46
Yield to Maturity
49
Spot Rates versus Forward Rates
49
Term Structure Hypotheses
52
Term Structure Estimation: The Basic Methods
55
Bootstrapping Method
55
Cubic-Spline Method
60
Nelson and
Siegel
Model
68
Advance Methods in Term Structure Estimation
72
Notes
74
CHAPTER
4
M-Absolute and M-Square Risk Measures
76
Measuring Term Structure Shifts
77
Shifts in the Term Structure of Zero-Coupon Yields
77
Shifts in Term Structure of Instantaneous Forward Rates
80
M-Absolute versus Duration
84
M-Square versus Convexity
90
Resolving the Convexity/M-Square Paradox
93
Convexity, M-Square, and Ex-Ante Returns
97
Convexity, M-Square, and Immunization Risk
98
Closed-Form Solutions for M-Square and M-Absolute
99
Appendix
4.1:
Derivation of the M-Absolute and
M-Square Models
103
Appendix
4.2:
Two-Term Taylor-Series-Expansion
Approach to the M-Square Model
107
Notes
110
CHAPTER
5
Duration Vector Models
111
The Duration Vector Model
112
Hedging Strategies Based on the Duration Vector Model
126
Closed-Form Formulas for Duration Measures
128
Contents
XVii
Generalized Duration Vector Models
132
Appendix
5.1:
Derivation of the Generalized
Duration Vector Models
137
Notes
141
CHAPTER
6
Hedging with Interest-Rate Futures
143
Eurodollar Futures
144
Futures Prices and Futures Interest Rates
145
Hedging with Eurodollar Futures
148
Treasury Bill Futures
156
Treasury Bill Pricing
156
Futures Prices and Futures Interest Rates
157
Treasury Bond Futures
158
Conversion Factor
160
Cheapest-to-Deliver Bond
161
Options Embedded in
Т
-Bond
Futures
163
Treasury Bond Futures Pricing
163
Duration Vector ofT-Bond Futures
166
Treasury Note Futures
170
Appendix
6.1:
The Duration Vector of the
Eurodollar Futures
171
Appendix
6.2:
The Duration Vector of the
Т
-Bond
Futures
174
Notes
179
CHAPTER
7
Hedging with Bond Options: A General Gaussian Framework
180
A General Gaussian Framework for Pricing
Zero-Coupon Bond Options
181
The Duration Vectors of Bond Options
186
Bounds on the Duration Vector of Bond Options
191
Numerical Simulations
193
Estimation of the Duration Vectors Using
Implied Volatilities
195
The Duration Vector of Callable Bonds
196
Numerical Simulations
199
Estimation of Duration Vectors Using Non-Gaussian
Term Structure Models
202
The Durations of European Options on Coupon Bonds
and Callable Coupon Bonds
203
XViii
CONTENTS
Durations of Coupon Bond Options Using
Vasicek and Extended Vasicek Models
207
CHAPTER
8
Hedging with Swaps and Interest Rate Options Using the
LIBOR
Market Model
218
A Simple Introduction to Interest Rate Swaps
219
Day-Count Conventions
221
The Financial intermediary
222
Motivations for Interest Rate Swaps
223
Pricing and Hedging with Interest Rate Swaps
227
Duration Vector of an Interest Rate Swap
230
Forward Rate Agreements
234
The Duration Vector of an
FRA
235
Pricing and Hedging with Caps, Floors, and Collars
Using the
LIBOR
Market Model
237
Pricing and Hedging with Interest Rate Caps
239
Pricing and Hedging with Interest Rate Floors
245
Pricing and Hedging with Interest Rate Collars
247
Pricing of Floating-Rate Bonds with
Embedded Collars
248
Interest Rate Swaptions
249
The Black Model for Pricing a Payer Swaption
251
The Black Model for Pricing a Receiver Swaption
252
Duration Vectors of Payer and Receiver Swaptions
253
Numerical Analysis
254
Notes
263
CHAPTER
9
Key Rate Durations with VaR Analysis
Key Rate Changes
265
Key Rate Durations and Convexities
268
Key Rate Durations
268
Key Rate Convexities
269
Risk Measurement and Management
273
Key Rate Durations and Value at Risk Analysis
279
Limitations of the Key Rate Model
281
The Choice of Key Rates
281
The Shape of Key Rate Shifts
282
Loss of Efficiency
285
Contents Xix
Appendix
9.1: Computing Key Rate
Risk Measures
for Complex Securities and under Maturity Mismatches
286
Effective Key Rate Risk Measures for Complex Securities:
Using Finite Difference Approximations
286
Maturity Mismatch: Using Interpolations and
Mapping Techniques
288
Notes
293
CHAPTER
10
Principal Component Model with VaR Analysis
294
From Term Structure Movements to Principal Components
295
Principal Component Durations and Convexities
300
Risk Measurement and Management with the
Principal Component Model
304
VaR Analysis Using the Principal Component Model
306
Limitations of the Principal Component Model
308
Static Factors Arising from a Dynamic Volatility Structure
308
Principal Component Analysis: Using Zero-Coupon
Rate Changes or Forward Rate Changes
310
Applications to Mortgage Securities
312
First Stage: Estimation of Principal Components
315
Second Stage: Estimation of Empirical PC Durations
316
Appendix
10.1:
Eigenvectors, Eigenvalues, and
Principal Components
319
Appendix
10.2:
Computing Principal Component Risk
Measures for Complex Securities and under
Maturity Mismatches
324
Notes
326
CHAPTER
11
Duration Models for Default-Prone Securities
328
Pricing and Duration of a Default-Free Zero-Coupon
Bond under the Vasicek Model
331
The Asset Duration
333
Pricing and Duration of a Default-Prone
Zero-Coupon Bond: The Merton Framework
334
Nawalkha-Shimko
et al.
Models
336
Numerical Analysis
340
Pricing and Duration of a Default-Prone Coupon Bond:
The First Passage Models
352
XX
CONTENTS
Black and Cox Model
Longstaff
and Schwartz
Model
Appendix
11.1:
Collin-Dufresne
and Goldstein
Model
Notes
353
356
371
376
References
377
About the CD-ROM
383
Index
387
|
| adam_txt |
Contents
List of Figures
xxi
List of Tables
xxv
CHAPTER
1
Interest Rate Risk Modeling: An Overview
1
Duration and Convexity Models
5
M-Absolute and M-Square Models
7
Duration Vector Models
8
Key Rate Duration Models
9
Principal Component Duration Models
10
Applications to Financial Institutions
12
Interaction with Other Risks
14
Notes
15
CHAPTER
Z
Bond Price, Duration, and Convexity
16
Bond Price under Continuous Compounding
16
Duration
20
Convexity
25
Common Fallacies Concerning Duration and Convexity
27
Simple Counter Examples
28
Explanation of the Fallacies
29
Applications to Callable Bonds
31
A New Graph
32
Formulas for Duration and Convexity
36
Duration and Convexity Formulas for Regular Bonds
37
Duration and Convexity Formulas for Annuities
and Perpetuities
38
XV
XVI
CONTENTS
Appendix 2.1:
Other Fallacies Concerning Duration
and Convexity
41
Notes
42
CHAPTER
3
Estimation of the Term Structure of Interest Rates
44
Bond Prices, Spot Rates, and Forward Rates
45
The Discount Function
45
Accrued Interest
46
Yield to Maturity
49
Spot Rates versus Forward Rates
49
Term Structure Hypotheses
52
Term Structure Estimation: The Basic Methods
55
Bootstrapping Method
55
Cubic-Spline Method
60
Nelson and
Siegel
Model
68
Advance Methods in Term Structure Estimation
72
Notes
74
CHAPTER
4
M-Absolute and M-Square Risk Measures
76
Measuring Term Structure Shifts
77
Shifts in the Term Structure of Zero-Coupon Yields
77
Shifts in Term Structure of Instantaneous Forward Rates
80
M-Absolute versus Duration
84
M-Square versus Convexity
90
Resolving the Convexity/M-Square Paradox
93
Convexity, M-Square, and Ex-Ante Returns
97
Convexity, M-Square, and Immunization Risk
98
Closed-Form Solutions for M-Square and M-Absolute
99
Appendix
4.1:
Derivation of the M-Absolute and
M-Square Models
103
Appendix
4.2:
Two-Term Taylor-Series-Expansion
Approach to the M-Square Model
107
Notes
110
CHAPTER
5
Duration Vector Models
111
The Duration Vector Model
112
Hedging Strategies Based on the Duration Vector Model
126
Closed-Form Formulas for Duration Measures
128
Contents
XVii
Generalized Duration Vector Models
132
Appendix
5.1:
Derivation of the Generalized
Duration Vector Models
137
Notes
141
CHAPTER
6
Hedging with Interest-Rate Futures
143
Eurodollar Futures
144
Futures Prices and Futures Interest Rates
145
Hedging with Eurodollar Futures
148
Treasury Bill Futures
156
Treasury Bill Pricing
156
Futures Prices and Futures Interest Rates
157
Treasury Bond Futures
158
Conversion Factor
160
Cheapest-to-Deliver Bond
161
Options Embedded in
Т
-Bond
Futures
163
Treasury Bond Futures Pricing
163
Duration Vector ofT-Bond Futures
166
Treasury Note Futures
170
Appendix
6.1:
The Duration Vector of the
Eurodollar Futures
171
Appendix
6.2:
The Duration Vector of the
Т
-Bond
Futures
174
Notes
179
CHAPTER
7
Hedging with Bond Options: A General Gaussian Framework
180
A General Gaussian Framework for Pricing
Zero-Coupon Bond Options
181
The Duration Vectors of Bond Options
186
Bounds on the Duration Vector of Bond Options
191
Numerical Simulations
193
Estimation of the Duration Vectors Using
Implied Volatilities
195
The Duration Vector of Callable Bonds
196
Numerical Simulations
199
Estimation of Duration Vectors Using Non-Gaussian
Term Structure Models
202
The Durations of European Options on Coupon Bonds
and Callable Coupon Bonds
203
XViii
CONTENTS
Durations of Coupon Bond Options Using
Vasicek and Extended Vasicek Models
207
CHAPTER
8
Hedging with Swaps and Interest Rate Options Using the
LIBOR
Market Model
218
A Simple Introduction to Interest Rate Swaps
219
Day-Count Conventions
221
The Financial intermediary
222
Motivations for Interest Rate Swaps
223
Pricing and Hedging with Interest Rate Swaps
227
Duration Vector of an Interest Rate Swap
230
Forward Rate Agreements
234
The Duration Vector of an
FRA
235
Pricing and Hedging with Caps, Floors, and Collars
Using the
LIBOR
Market Model
237
Pricing and Hedging with Interest Rate Caps
239
Pricing and Hedging with Interest Rate Floors
245
Pricing and Hedging with Interest Rate Collars
247
Pricing of Floating-Rate Bonds with
Embedded Collars
248
Interest Rate Swaptions
249
The Black Model for Pricing a Payer Swaption
251
The Black Model for Pricing a Receiver Swaption
252
Duration Vectors of Payer and Receiver Swaptions
253
Numerical Analysis
254
Notes
263
CHAPTER
9
Key Rate Durations with VaR Analysis
Key Rate Changes
265
Key Rate Durations and Convexities
268
Key Rate Durations
268
Key Rate Convexities
269
Risk Measurement and Management
273
Key Rate Durations and Value at Risk Analysis
279
Limitations of the Key Rate Model
281
The Choice of Key Rates
281
The Shape of Key Rate Shifts
282
Loss of Efficiency
285
Contents Xix
Appendix
9.1: Computing Key Rate
Risk Measures
for Complex Securities and under Maturity Mismatches
286
Effective Key Rate Risk Measures for Complex Securities:
Using Finite Difference Approximations
286
Maturity Mismatch: Using Interpolations and
Mapping Techniques
288
Notes
293
CHAPTER
10
Principal Component Model with VaR Analysis
294
From Term Structure Movements to Principal Components
295
Principal Component Durations and Convexities
300
Risk Measurement and Management with the
Principal Component Model
304
VaR Analysis Using the Principal Component Model
306
Limitations of the Principal Component Model
308
Static Factors Arising from a Dynamic Volatility Structure
308
Principal Component Analysis: Using Zero-Coupon
Rate Changes or Forward Rate Changes
310
Applications to Mortgage Securities
312
First Stage: Estimation of Principal Components
315
Second Stage: Estimation of Empirical PC Durations
316
Appendix
10.1:
Eigenvectors, Eigenvalues, and
Principal Components
319
Appendix
10.2:
Computing Principal Component Risk
Measures for Complex Securities and under
Maturity Mismatches
324
Notes
326
CHAPTER
11
Duration Models for Default-Prone Securities
328
Pricing and Duration of a Default-Free Zero-Coupon
Bond under the Vasicek Model
331
The Asset Duration
333
Pricing and Duration of a Default-Prone
Zero-Coupon Bond: The Merton Framework
334
Nawalkha-Shimko
et al.
Models
336
Numerical Analysis
340
Pricing and Duration of a Default-Prone Coupon Bond:
The First Passage Models
352
XX
CONTENTS
Black and Cox Model
Longstaff
and Schwartz
Model
Appendix
11.1:
Collin-Dufresne
and Goldstein
Model
Notes
353
356
371
376
References
377
About the CD-ROM
383
Index
387 |
| any_adam_object | 1 |
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| author | Nawalkha, Sanjay K. Soto, Gloria M. Beliaeva, Natalia A. |
| author_facet | Nawalkha, Sanjay K. Soto, Gloria M. Beliaeva, Natalia A. |
| author_role | aut aut aut |
| author_sort | Nawalkha, Sanjay K. |
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| building | Verbundindex |
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| callnumber-search | HG6024.5 |
| callnumber-sort | HG 46024.5 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 600 |
| ctrlnum | (OCoLC)57373894 (DE-599)BVBBV021283178 |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/23 |
| dewey-search | 332.63/23 |
| dewey-sort | 3332.63 223 |
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| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
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| id | DE-604.BV021283178 |
| illustrated | Illustrated |
| index_date | 2024-07-02T13:47:43Z |
| indexdate | 2024-07-09T20:34:40Z |
| institution | BVB |
| isbn | 9780471427247 0471427241 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-014604145 |
| oclc_num | 57373894 |
| open_access_boolean | |
| owner | DE-29T DE-355 DE-BY-UBR DE-92 DE-523 |
| owner_facet | DE-29T DE-355 DE-BY-UBR DE-92 DE-523 |
| physical | XXVII, 396 S. graph. Darst. 1 CD-ROM (12 cm) |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley finance series |
| spelling | Nawalkha, Sanjay K. Verfasser aut Interest rate risk modeling the fixed income valuation course Sanjay K. Nawalkha ; Gloria M. Soto ; Natalia A. Beliaeva Hoboken, NJ Wiley 2005 XXVII, 396 S. graph. Darst. 1 CD-ROM (12 cm) txt rdacontent n rdamedia nc rdacarrier Wiley finance series Literaturverz. S. 377 - 382 Rente gtt Risk management gtt Wiskundige modellen gtt Mathematisches Modell Bonds Valuation Mathematical models Fixed-income securities Valuation Mathematical models Interest rate risk Mathematical models Zinsänderungsrisiko (DE-588)4067851-9 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Festverzinsliches Wertpapier (DE-588)4121262-9 gnd rswk-swf Bewertung (DE-588)4006340-9 gnd rswk-swf Bewertung (DE-588)4006340-9 s Zinsänderungsrisiko (DE-588)4067851-9 s Mathematisches Modell (DE-588)4114528-8 s Festverzinsliches Wertpapier (DE-588)4121262-9 s b DE-604 Soto, Gloria M. Verfasser aut Beliaeva, Natalia A. Verfasser aut Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014604145&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Nawalkha, Sanjay K. Soto, Gloria M. Beliaeva, Natalia A. Interest rate risk modeling the fixed income valuation course Rente gtt Risk management gtt Wiskundige modellen gtt Mathematisches Modell Bonds Valuation Mathematical models Fixed-income securities Valuation Mathematical models Interest rate risk Mathematical models Zinsänderungsrisiko (DE-588)4067851-9 gnd Mathematisches Modell (DE-588)4114528-8 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd Bewertung (DE-588)4006340-9 gnd |
| subject_GND | (DE-588)4067851-9 (DE-588)4114528-8 (DE-588)4121262-9 (DE-588)4006340-9 |
| title | Interest rate risk modeling the fixed income valuation course |
| title_auth | Interest rate risk modeling the fixed income valuation course |
| title_exact_search | Interest rate risk modeling the fixed income valuation course |
| title_exact_search_txtP | Interest rate risk modeling the fixed income valuation course |
| title_full | Interest rate risk modeling the fixed income valuation course Sanjay K. Nawalkha ; Gloria M. Soto ; Natalia A. Beliaeva |
| title_fullStr | Interest rate risk modeling the fixed income valuation course Sanjay K. Nawalkha ; Gloria M. Soto ; Natalia A. Beliaeva |
| title_full_unstemmed | Interest rate risk modeling the fixed income valuation course Sanjay K. Nawalkha ; Gloria M. Soto ; Natalia A. Beliaeva |
| title_short | Interest rate risk modeling |
| title_sort | interest rate risk modeling the fixed income valuation course |
| title_sub | the fixed income valuation course |
| topic | Rente gtt Risk management gtt Wiskundige modellen gtt Mathematisches Modell Bonds Valuation Mathematical models Fixed-income securities Valuation Mathematical models Interest rate risk Mathematical models Zinsänderungsrisiko (DE-588)4067851-9 gnd Mathematisches Modell (DE-588)4114528-8 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd Bewertung (DE-588)4006340-9 gnd |
| topic_facet | Rente Risk management Wiskundige modellen Mathematisches Modell Bonds Valuation Mathematical models Fixed-income securities Valuation Mathematical models Interest rate risk Mathematical models Zinsänderungsrisiko Festverzinsliches Wertpapier Bewertung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014604145&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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